I am a level 3 in Skyrim and when I go to the Level Up Option I can see that I have 3 perks, but I don't know how to select which perks I want. Is there a special section in the menu or is there something I'm missing?

I'm just adding a little bit for the PS3 players of this game, since the problem is the same there but with a slightly different solution.

Hit the O button and the pick the top option (called either "Skills" or "Level Up"--you don't have to choose a perk right when it becomes available). Select a skill to see the perk constellation thing, and then navigate to the star you want to pick (the higher up, the more skill points it requires).

It's nearly impossible to navigate to all the perks with the D pad, which is what at least I use to navigate through all in-game menus. A lot of them are on weird diagonals that takes some work with the right stick, and even then if you go too far on the stick it will jump to a totally different constellation without much notice.

I just find out that the game has some serious trouble when you customize the keboard keys, as in my case, in that you can't navigate the skill select screen. So I returned during a while in the preselect keys and all works okay! When you reassign some of the keys it is simply IMPOSSIBLE to select any perk to improve it! Now I finally have been able to use my 8 points.